Chimera Investment Corp 8-K, filed May 9, 2024
Chimera Investment Corp (CIM)
8-K
2024-05-09
For: 2024-05-09
View Original
Added on
July 04, 2026
About this 8-K
Chimera Investment Corp filed this 8-K on May 9, 2024.
Items reported
- Item 2.02: Financial results
- Item 9.01: Financial statements and exhibits
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
____________
FORM8-K
FORM
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported):
(Exact name of registrant as specified in its charter)
| (State or Other Jurisdiction | (Commission | (IRS Employer | ||||||
| of Incorporation) | File Number) | Identification No.) | ||||||
(Address of principal executive offices)
10111
(Zip Code)
Registrant’s telephone number, including area code: (888 ) 895-6557
Securities registered pursuant to Section 12(b) of the Act:
| Title of Each Class | Trading Symbol(s) | Name of Each Exchange on Which Registered | ||||||
(Former Name or Former Address, if Changed Since Last Report)
Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions:
Indicate by check mark whether the registrant is an emerging growth company as defined in Rule 405 of the Securities Act of 1933 (§230.405 of this chapter) or Rule 12b-2 of the Securities Exchange Act of 1934 (§240.12b-2 of this chapter).
Emerging growth company ☐
If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☐
Item 2.02. Results of Operations and Financial Condition
On May 9, 2024, the registrant issued a press release announcing its financial results for the quarter ended March 31, 2024. A copy of the press release is furnished as Exhibit 99.1 to this report.
On May 9, 2024, the registrant posted investor presentation information on the News & Events - Press Releases section of its website (www.chimerareit.com). A copy of the investor presentation information is furnished as Exhibit 99.2 to this report and incorporated herein by reference.
Item 9.01 Financial Statements and Exhibits
(d) Exhibits
104 Cover Page Interactive Data File (embedded within the Inline XBRL document).
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized.
Chimera Investment Corporation
By: /s/ Subramaniam Viswanathan
Name: Subramaniam Viswanathan
Title: Chief Financial Officer
Date: May 9, 2024
PRESS RELEASE
NYSE: CIM
CHIMERA INVESTMENT CORPORATION
630 Fifth Ave, Ste 2400
New York, New York 10111
_________________________________________________________________________________________________
Investor Relations
888-895-6557
www.chimerareit.com
FOR IMMEDIATE RELEASE
CHIMERA INVESTMENT CORPORATION REPORTS 1ST QUARTER 2024 EARNINGS
NEW YORK - (BUSINESS WIRE) - Chimera Investment Corporation (NYSE:CIM) today announced its financial results for the first quarter ended March 31, 2024.
Financial Highlights:
•1ST QUARTER GAAP NET INCOME OF $0.45 PER DILUTED COMMON SHARE
•1ST QUARTER EARNINGS AVAILABLE FOR DISTRIBUTION(1) OF $0.12 PER DILUTED COMMON SHARE
•GAAP BOOK VALUE OF $7.11 PER COMMON SHARE
“Chimera’s book value increased in the first quarter to $7.11 per share and generated an economic return (2) of 7% for the period,” said Phillip J. Kardis, Chimera’s President and CEO. “Since the beginning of the year, we acquired approximately $50 million in subordinated tranches of new issue mortgage securitizations and settled on $78 million of residential transition loans. We believe these investments will provide accretive returns to the portfolio while preserving liquidity for future deployment.”
(1) Earnings available for distribution per adjusted diluted common share is a non-GAAP measure. See additional discussion on page 5.
(2) Measured by the change in book value per common share plus common stock dividend.
1
Other Information
Chimera Investment Corporation is a publicly traded real estate investment trust, or REIT, that is primarily engaged in the business of investing directly or indirectly through its subsidiaries, on a leveraged basis, in a diversified portfolio of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency CMBS, Agency RMBS, and other real estate related securities.
| CHIMERA INVESTMENT CORPORATION | ||||||||
| CONSOLIDATED STATEMENTS OF FINANCIAL CONDITION | ||||||||
| (dollars in thousands, except share and per share data) | ||||||||
| (Unaudited) | ||||||||
| March 31, 2024 | December 31, 2023 | |||||||
| Cash and cash equivalents | $ | 168,958 | $ | 221,684 | ||||
| Non-Agency RMBS, at fair value (net of allowance for credit losses of $20 million and $19 million, respectively) | 1,059,863 | 1,043,806 | ||||||
| Agency MBS, at fair value | 65,999 | 102,484 | ||||||
| Loans held for investment, at fair value | 11,074,519 | 11,397,046 | ||||||
| Accrued interest receivable | 81,147 | 76,960 | ||||||
| Other assets | 96,086 | 87,018 | ||||||
Total assets (1) | $ | 12,546,572 | $ | 12,928,998 | ||||
| Liabilities: | ||||||||
| Secured financing agreements ($3.6 billion and $3.6 billion pledged as collateral, respectively, and includes $340 million and $374 million at fair value, respectively) | $ | 2,384,678 | $ | 2,432,115 | ||||
| Securitized debt, collateralized by Non-Agency RMBS ($244 million and $249 million pledged as collateral, respectively) | 73,162 | 75,012 | ||||||
| Securitized debt at fair value, collateralized by Loans held for investment ($10.5 billion and $10.7 billion pledged as collateral, respectively) | 7,336,345 | 7,601,881 | ||||||
| Payable for investments purchased | 6,135 | 158,892 | ||||||
| Accrued interest payable | 35,481 | 38,272 | ||||||
| Dividends payable | 54,849 | 54,552 | ||||||
| Accounts payable and other liabilities | 10,336 | 9,355 | ||||||
Total liabilities (1) | $ | 9,900,986 | $ | 10,370,079 | ||||
| Stockholders' Equity: | ||||||||
| Preferred Stock, par value of $0.01 per share, 100,000,000 shares authorized: | ||||||||
| 8.00% Series A cumulative redeemable: 5,800,000 shares issued and outstanding, respectively ($145,000 liquidation preference) | $ | 58 | $ | 58 | ||||
| 8.00% Series B cumulative redeemable: 13,000,000 shares issued and outstanding, respectively ($325,000 liquidation preference) | 130 | 130 | ||||||
| 7.75% Series C cumulative redeemable: 10,400,000 shares issued and outstanding, respectively ($260,000 liquidation preference) | 104 | 104 | ||||||
| 8.00% Series D cumulative redeemable: 8,000,000 shares issued and outstanding, respectively ($200,000 liquidation preference) | 80 | 80 | ||||||
| Common stock: par value $0.01 per share; 500,000,000 shares authorized, 241,417,867 and 241,360,656 shares issued and outstanding, respectively | 2,415 | 2,414 | ||||||
| Additional paid-in-capital | 4,371,502 | 4,368,520 | ||||||
| Accumulated other comprehensive income | 185,447 | 185,668 | ||||||
| Cumulative earnings | 4,294,500 | 4,165,046 | ||||||
| Cumulative distributions to stockholders | (6,208,650) | (6,163,101) | ||||||
| Total stockholders' equity | $ | 2,645,586 | $ | 2,558,919 | ||||
| Total liabilities and stockholders' equity | $ | 12,546,572 | $ | 12,928,998 | ||||
(1) The Company's consolidated statements of financial condition include assets of consolidated variable interest entities, or VIEs, that can only be used to settle obligations and liabilities of the VIE for which creditors do not have recourse to the primary beneficiary (Chimera Investment Corporation). As of March 31, 2024, and December 31, 2023, total assets of consolidated VIEs were $10,299,963 and $10,501,840, respectively, and total liabilities of consolidated VIEs were $7,093,458 and $7,349,109, respectively.
2
| Net Income (Loss) | |||||||||||||||||||||||||||||||||||||||||
| (dollars in thousands, except share and per share data) | |||||||||||||||||||||||||||||||||||||||||
| (unaudited) | |||||||||||||||||||||||||||||||||||||||||
| For the Quarters Ended | |||||||||||||||||||||||||||||||||||||||||
| March 31, 2024 | March 31, 2023 | ||||||||||||||||||||||||||||||||||||||||
| Net interest income: | |||||||||||||||||||||||||||||||||||||||||
Interest income (1) | $ | 186,574 | $ | 189,250 | |||||||||||||||||||||||||||||||||||||
Interest expense (2) | 121,468 | 119,615 | |||||||||||||||||||||||||||||||||||||||
| Net interest income | 65,106 | 69,635 | |||||||||||||||||||||||||||||||||||||||
| Increase (decrease) in provision for credit losses | 1,347 | 3,062 | |||||||||||||||||||||||||||||||||||||||
| Other investment gains (losses): | |||||||||||||||||||||||||||||||||||||||||
| Net unrealized gains (losses) on derivatives | 5,189 | (8,551) | |||||||||||||||||||||||||||||||||||||||
| Realized gains (losses) on derivatives | — | (34,134) | |||||||||||||||||||||||||||||||||||||||
| Periodic interest cost of swaps, net | 5,476 | 2,819 | |||||||||||||||||||||||||||||||||||||||
| Net gains (losses) on derivatives | 10,665 | (39,866) | |||||||||||||||||||||||||||||||||||||||
| Net unrealized gains (losses) on financial instruments at fair value | 76,765 | 64,592 | |||||||||||||||||||||||||||||||||||||||
| Net realized gains (losses) on sales of investments | (3,750) | (5,264) | |||||||||||||||||||||||||||||||||||||||
| Gains (losses) on extinguishment of debt | — | 2,309 | |||||||||||||||||||||||||||||||||||||||
| Other investment gains (losses) | 4,686 | 117 | |||||||||||||||||||||||||||||||||||||||
| Total other gains (losses) | 88,366 | 21,888 | |||||||||||||||||||||||||||||||||||||||
| Other expenses: | |||||||||||||||||||||||||||||||||||||||||
| Compensation and benefits | 9,213 | 10,491 | |||||||||||||||||||||||||||||||||||||||
| General and administrative expenses | 5,720 | 5,778 | |||||||||||||||||||||||||||||||||||||||
| Servicing and asset manager fees | 7,663 | 8,417 | |||||||||||||||||||||||||||||||||||||||
| Transaction expenses | 67 | 6,409 | |||||||||||||||||||||||||||||||||||||||
| Total other expenses | 22,663 | 31,095 | |||||||||||||||||||||||||||||||||||||||
| Income (loss) before income taxes | 129,462 | 57,366 | |||||||||||||||||||||||||||||||||||||||
| Income taxes | 8 | — | |||||||||||||||||||||||||||||||||||||||
| Net income (loss) | $ | 129,454 | $ | 57,366 | |||||||||||||||||||||||||||||||||||||
| Dividends on preferred stock | 18,438 | 18,438 | |||||||||||||||||||||||||||||||||||||||
| Net income (loss) available to common shareholders | $ | 111,016 | $ | 38,928 | |||||||||||||||||||||||||||||||||||||
| Net income (loss) per share available to common shareholders: | |||||||||||||||||||||||||||||||||||||||||
| Basic | $ | 0.46 | $ | 0.17 | |||||||||||||||||||||||||||||||||||||
| Diluted | $ | 0.45 | $ | 0.17 | |||||||||||||||||||||||||||||||||||||
| Weighted average number of common shares outstanding: | |||||||||||||||||||||||||||||||||||||||||
| Basic | 243,718,142 | 231,994,620 | |||||||||||||||||||||||||||||||||||||||
| Diluted | 245,154,643 | 235,201,614 | |||||||||||||||||||||||||||||||||||||||
(1) Includes interest income of consolidated VIEs of $146,917 and $139,902 for the quarters ended March 31, 2024 and 2023, respectively.
(2) Includes interest expense of consolidated VIEs of $73,123 and $60,152 for the quarters ended March 31, 2024 and 2023, respectively.
3
| CHIMERA INVESTMENT CORPORATION | ||||||||||||||||||||
| CONSOLIDATED STATEMENTS OF COMPREHENSIVE INCOME (LOSS) | ||||||||||||||||||||
| (dollars in thousands, except share and per share data) | ||||||||||||||||||||
| (Unaudited) | ||||||||||||||||||||
| For the Quarters Ended | ||||||||||||||||||||
| March 31, 2024 | March 31, 2023 | |||||||||||||||||||
| Comprehensive income (loss): | ||||||||||||||||||||
| Net income (loss) | $ | 129,454 | $ | 57,366 | ||||||||||||||||
| Other comprehensive income: | ||||||||||||||||||||
| Unrealized gains (losses) on available-for-sale securities, net | (221) | (5,905) | ||||||||||||||||||
| Reclassification adjustment for net realized losses (gains) included in net income | — | 1,315 | ||||||||||||||||||
| Other comprehensive income (loss) | $ | (221) | $ | (4,590) | ||||||||||||||||
| Comprehensive income (loss) before preferred stock dividends | $ | 129,233 | $ | 52,776 | ||||||||||||||||
| Dividends on preferred stock | $ | 18,438 | $ | 18,438 | ||||||||||||||||
| Comprehensive income (loss) available to common stock shareholders | $ | 110,795 | $ | 34,338 | ||||||||||||||||
4
Earnings available for distribution
Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations and certain structured secured financing agreements and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These costs are all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer groups treatment of these costs in their non-GAAP measures presentation, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense.
Earnings available for distribution is the Economic net interest income, as defined previously, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges.
We view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include (among others) REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities and other cash needs. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs.
The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis.
5
| For the Quarters Ended | |||||||||||||||||
| March 31, 2024 | December 31, 2023 | September 30, 2023 | June 30, 2023 | March 31, 2023 | |||||||||||||
| (dollars in thousands, except per share data) | |||||||||||||||||
| GAAP Net income (loss) available to common stockholders | $ | 111,016 | $ | 12,104 | $ | (16,268) | $ | 17,586 | $ | 38,928 | |||||||
| Adjustments: | |||||||||||||||||
| Net unrealized (gains) losses on financial instruments at fair value | (76,765) | (6,815) | 43,988 | (6,954) | (64,592) | ||||||||||||
| Net realized (gains) losses on sales of investments | 3,750 | 3,752 | 460 | 21,758 | 5,264 | ||||||||||||
| (Gains) losses on extinguishment of debt | — | 2,473 | — | (4,039) | (2,309) | ||||||||||||
| Increase (decrease) in provision for credit losses | 1,347 | 2,330 | 3,217 | 2,762 | 3,062 | ||||||||||||
| Net unrealized (gains) losses on derivatives | (5,189) | 15,871 | (17) | (17,994) | 8,551 | ||||||||||||
| Realized (gains) losses on derivatives | — | — | — | 6,822 | 34,134 | ||||||||||||
| Transaction expenses | 67 | 425 | 90 | 8,456 | 6,409 | ||||||||||||
| Stock Compensation expense for retirement eligible awards | 1,024 | (391) | (392) | (388) | 2,141 | ||||||||||||
| Other investment (gains) losses | (4,686) | 986 | (2,381) | 421 | (117) | ||||||||||||
| Earnings available for distribution | $ | 30,564 | $ | 30,735 | $ | 28,697 | $ | 28,430 | $ | 31,471 | |||||||
| GAAP net income (loss) per diluted common share | $ | 0.45 | $ | 0.05 | $ | (0.07) | $ | 0.08 | $ | 0.17 | |||||||
| Earnings available for distribution per adjusted diluted common share | $ | 0.12 | $ | 0.13 | $ | 0.13 | $ | 0.12 | $ | 0.13 | |||||||
The following tables provide a summary of the Company’s MBS portfolio at March 31, 2024 and December 31, 2023.
| March 31, 2024 | |||||||||||||||||
| Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 1,057,200 | $ | 45.50 | 62.83 | 5.7 | % | 16.9 | % | ||||||||
| Subordinated | 610,429 | 53.85 | 51.49 | 3.8 | % | 7.2 | % | ||||||||||
| Interest-only | 2,819,698 | 5.57 | 2.88 | 0.5 | % | 6.2 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | 388,676 | 5.01 | 3.83 | 0.1 | % | 6.6 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 48,651 | 101.28 | 89.84 | 3.7 | % | 3.6 | % | ||||||||||
| Interest-only | 474,631 | 1.55 | 1.56 | 0.5 | % | 8.4 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
6
| December 31, 2023 | |||||||||||||||||
| Principal or Notional Value at Period-End (dollars in thousands) | Weighted Average Amortized Cost Basis | Weighted Average Fair Value | Weighted Average Coupon | Weighted Average Yield at Period-End (1) | |||||||||||||
| Non-Agency RMBS | |||||||||||||||||
| Senior | $ | 1,073,632 | $ | 45.69 | $ | 62.98 | 5.7 | % | 17.3 | % | |||||||
| Subordinated | 583,049 | 50.92 | 47.49 | 3.3 | % | 6.7 | % | ||||||||||
| Interest-only | 2,874,680 | 5.49 | 3.16 | 0.5 | % | 4.2 | % | ||||||||||
| Agency RMBS | |||||||||||||||||
| Interest-only | 392,284 | 4.90 | 3.83 | 0.1 | % | 5.7 | % | ||||||||||
| Agency CMBS | |||||||||||||||||
| Project loans | 86,572 | 101.44 | 91.46 | 4.0 | % | 3.8 | % | ||||||||||
| Interest-only | 478,239 | 1.62 | 1.73 | 0.5 | % | 8.2 | % | ||||||||||
(1) Bond Equivalent Yield at period end.
At March 31, 2024 and December 31, 2023, the secured financing agreements collateralized by MBS and Loans held for investment had the following remaining maturities and borrowing rates.
| March 31, 2024 | December 31, 2023 | ||||||||||||||||||||||
| (dollars in thousands) | |||||||||||||||||||||||
| Principal | Weighted Average Borrowing Rates | Range of Borrowing Rates | Principal | Weighted Average Borrowing Rates | Range of Borrowing Rates | ||||||||||||||||||
| Overnight | $ | — | N/A | N/A | $ | — | N/A | NA | |||||||||||||||
| 1 to 29 days | $ | 259,229 | 7.56% | 6.20% - 8.18% | $ | 272,490 | 7.35% | 6.30% - 8.22% | |||||||||||||||
| 30 to 59 days | 473,497 | 6.71% | 5.44% - 7.82% | 495,636 | 6.68% | 5.58% - 7.87% | |||||||||||||||||
| 60 to 89 days | 194,024 | 7.21% | 5.84% - 7.58% | 305,426 | 7.17% | 5.93% - 7.85% | |||||||||||||||||
| 90 to 119 days | 69,793 | 6.29% | 6.29% - 6.29% | 54,376 | 7.46% | 6.59% - 7.80% | |||||||||||||||||
| 120 to 180 days | 187,582 | 6.89% | 6.35% - 7.65% | 105,727 | 7.09% | 6.72% - 7.80% | |||||||||||||||||
| 180 days to 1 year | 616,005 | 9.50% | 6.63% - 12.50% | 39,620 | 7.06% | 6.66% - 7.39% | |||||||||||||||||
| 1 to 2 years | 244,967 | 8.33% | 8.33% - 8.33% | 808,601 | 9.36% | 8.36% - 12.50% | |||||||||||||||||
| 2 to 3 years | — | N/A | N/A | — | N/A | N/A | |||||||||||||||||
| Greater than 3 years | 358,581 | 5.08% | 5.08% - 5.08% | 362,215 | 5.11% | 5.10% - 7.15% | |||||||||||||||||
| Total | $ | 2,403,678 | 7.48% | $ | 2,444,091 | 7.51% | |||||||||||||||||
7
The following table summarizes certain characteristics of our portfolio at March 31, 2024 and December 31, 2023.
| March 31, 2024 | December 31, 2023 | |||||||
| GAAP Leverage at period-end | 3.7:1 | 4.0:1 | ||||||
| GAAP Leverage at period-end (recourse) | 0.9:1 | 1.0:1 | ||||||
| March 31, 2024 | December 31, 2023 | March 31, 2024 | December 31, 2023 | ||||||||||||||
| Portfolio Composition | Amortized Cost | Fair Value | |||||||||||||||
| Non-Agency RMBS | 7.9 | % | 7.5 | % | 8.7 | % | 8.3 | % | |||||||||
| Senior | 3.9 | % | 4.0 | % | 5.4 | % | 5.4 | % | |||||||||
| Subordinated | 2.7 | % | 2.3 | % | 2.6 | % | 2.2 | % | |||||||||
| Interest-only | 1.3 | % | 1.2 | % | 0.7 | % | 0.7 | % | |||||||||
| Agency RMBS | 0.2 | % | 0.2 | % | 0.1 | % | 0.1 | % | |||||||||
| Interest-only | 0.2 | % | 0.2 | % | 0.1 | % | 0.1 | % | |||||||||
| Agency CMBS | 0.5 | % | 0.7 | % | 0.4 | % | 0.7 | % | |||||||||
| Project loans | 0.4 | % | 0.6 | % | 0.4 | % | 0.6 | % | |||||||||
| Interest-only | 0.1 | % | 0.1 | % | 0.1 | % | 0.1 | % | |||||||||
| Loans held for investment | 91.4 | % | 91.6 | % | 90.8 | % | 90.9 | % | |||||||||
| Fixed-rate percentage of portfolio | 96.5 | % | 96.5 | % | 96.0 | % | 95.9 | % | |||||||||
| Adjustable-rate percentage of portfolio | 3.5 | % | 3.5 | % | 4.0 | % | 4.1 | % | |||||||||
8
Economic Net Interest Income
Our Economic net interest income is a non-GAAP financial measure that equals GAAP net interest income adjusted for net periodic interest cost of interest rate swaps and excludes interest earned on cash. For the purpose of computing economic net interest income and ratios relating to cost of funds measures throughout this section, interest expense includes net payments on our interest rate swaps, which is presented as a part of Net gains (losses) on derivatives in our Consolidated Statements of Operations. Interest rate swaps are used to manage the increase in interest paid on secured financing agreements in a rising rate environment. Presenting the net contractual interest payments on interest rate swaps with the interest paid on interest-bearing liabilities reflects our total contractual interest payments. We believe this presentation is useful to investors because it depicts the economic value of our investment strategy by showing all components of interest expense and net interest income of our investment portfolio. However, Economic net interest income should not be viewed in isolation and is not a substitute for net interest income computed in accordance with GAAP. Where indicated, interest expense, adjusting for any interest earned on cash, is referred to as Economic interest expense. Where indicated, net interest income reflecting net periodic interest cost of interest rate swaps and any interest earned on cash, is referred to as Economic net interest income.
The following table reconciles the Economic net interest income to GAAP net interest income and Economic interest expense to GAAP interest expense for the periods presented.
| GAAP Interest Income | GAAP Interest Expense | Periodic Interest Cost of Interest Rate Swaps | Economic Interest Expense | GAAP Net Interest Income | Periodic Interest Cost of Interest Rate Swaps | Other (1) | Economic Net Interest Income | ||||||||||||||||||||||||||||
| For the Quarter Ended March 31, 2024 | $ | 186,574 | $ | 121,468 | $ | (5,476) | $ | 115,992 | $ | 65,106 | $ | 5,476 | $ | (2,581) | $ | 68,001 | |||||||||||||||||||
| For the Quarter Ended December 31, 2023 | $ | 191,204 | $ | 126,553 | $ | (5,296) | $ | 121,257 | $ | 64,651 | $ | 5,296 | $ | (1,651) | $ | 68,296 | |||||||||||||||||||
| For the Quarter Ended September 30, 2023 | $ | 195,591 | $ | 132,193 | $ | (4,894) | $ | 127,299 | $ | 63,398 | $ | 4,894 | $ | (2,301) | $ | 65,991 | |||||||||||||||||||
| For the Quarter Ended June 30, 2023 | $ | 196,859 | $ | 131,181 | $ | (4,159) | $ | 127,022 | $ | 65,678 | $ | 4,159 | $ | (2,884) | $ | 66,953 | |||||||||||||||||||
| For the Quarter Ended March 31, 2023 | $ | 189,250 | $ | 119,615 | $ | (2,819) | $ | 116,796 | $ | 69,635 | $ | 2,819 | $ | (3,035) | $ | 69,419 | |||||||||||||||||||
(1) Primarily interest income on cash and cash equivalents.
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The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented.
| For the Quarter Ended | |||||||||||||||||||||||||||||||||||
| March 31, 2024 | December 31, 2023 | March 31, 2023 | |||||||||||||||||||||||||||||||||
| (dollars in thousands) | (dollars in thousands) | (dollars in thousands) | |||||||||||||||||||||||||||||||||
| Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | Average Balance | Interest | Average Yield/Cost | |||||||||||||||||||||||||||
| Assets: | |||||||||||||||||||||||||||||||||||
Interest-earning assets (1): | |||||||||||||||||||||||||||||||||||
| Agency RMBS | $ | 19,363 | $ | 325 | 6.7 | % | $ | 19,136 | $ | 303 | 6.3 | % | $ | 18,692 | $ | 322 | 6.9 | % | |||||||||||||||||
| Agency CMBS | 60,345 | 715 | 4.7 | % | 105,270 | 1,138 | 4.3 | % | 307,846 | 2,957 | 3.8 | % | |||||||||||||||||||||||
| Non-Agency RMBS | 961,903 | 28,935 | 12.0 | % | 950,366 | 29,611 | 12.5 | % | 990,721 | 30,098 | 12.2 | % | |||||||||||||||||||||||
| Loans held for investment | 11,643,716 | 154,018 | 5.3 | % | 11,882,662 | 158,501 | 5.3 | % | 12,334,025 | 152,838 | 5.0 | % | |||||||||||||||||||||||
| Total | $ | 12,685,327 | $ | 183,993 | 5.8 | % | $ | 12,957,434 | $ | 189,553 | 5.9 | % | $ | 13,651,284 | $ | 186,215 | 5.5 | % | |||||||||||||||||
| Liabilities and stockholders' equity: | |||||||||||||||||||||||||||||||||||
Interest-bearing liabilities (2): | |||||||||||||||||||||||||||||||||||
| Secured financing agreements collateralized by: | |||||||||||||||||||||||||||||||||||
| Agency RMBS | $ | — | $ | — | — | % | $ | — | $ | — | — | % | $ | 4,095 | $ | 52 | 5.1 | % | |||||||||||||||||
| Agency CMBS | 44,632 | 661 | 5.9 | % | 75,847 | 1,071 | 5.6 | % | 252,102 | 2,956 | 4.7 | % | |||||||||||||||||||||||
| Non-Agency RMBS | 681,101 | 11,736 | 6.9 | % | 710,550 | 13,561 | 7.6 | % | 762,989 | 16,063 | 8.4 | % | |||||||||||||||||||||||
| Loans held for investment | 1,696,221 | 28,106 | 6.6 | % | 1,761,188 | 30,298 | 6.9 | % | 2,189,967 | 34,839 | 6.4 | % | |||||||||||||||||||||||
| Securitized debt | 8,207,251 | 75,489 | 3.7 | % | 8,422,017 | 76,327 | 3.6 | % | 8,049,843 | 62,886 | 3.1 | % | |||||||||||||||||||||||
| Total | $ | 10,629,205 | $ | 115,992 | 4.4 | % | $ | 10,969,602 | $ | 121,257 | 4.4 | % | $ | 11,258,996 | $ | 116,796 | 4.1 | % | |||||||||||||||||
| Economic net interest income/net interest rate spread | $ | 68,001 | 1.4 | % | $ | 68,296 | 1.5 | % | $ | 69,419 | 1.4 | % | |||||||||||||||||||||||
| Net interest-earning assets/net interest margin | $ | 2,056,122 | 2.1 | % | $ | 1,987,832 | 2.1 | % | $ | 2,392,288 | 2.0 | % | |||||||||||||||||||||||
| Ratio of interest-earning assets to interest bearing liabilities | 1.19 | 1.18 | 1.21 | ||||||||||||||||||||||||||||||||
| (1) Interest-earning assets at amortized cost | |||||||||||||||||||||||||||||||||||
| (2) Interest includes periodic net interest cost on swaps | |||||||||||||||||||||||||||||||||||
The table below shows our Net Income and Economic net interest income as a percentage of average stockholders' equity and Earnings available for distribution as a percentage of average common stockholders' equity. Return on average equity is defined as our GAAP net income (loss) as a percentage of average equity. Average equity is defined as the average of our beginning and ending stockholders' equity balance for the period reported. Economic Net Interest Income and Earnings available for distribution are non-GAAP measures as defined in previous sections.
| Return on Average Equity | Economic Net Interest Income/Average Equity | Earnings available for distribution/Average Common Equity | |||||||||
| (Ratios have been annualized) | |||||||||||
| For the Quarter Ended March 31, 2024 | 19.90 | % | 10.45 | % | 7.31 | % | |||||
| For the Quarter Ended December 31, 2023 | 4.84 | % | 10.81 | % | 7.70 | % | |||||
| For the Quarter Ended September 30, 2023 | 0.34 | % | 10.40 | % | 7.14 | % | |||||
| For the Quarter Ended June 30, 2023 | 5.51 | % | 10.24 | % | 6.75 | % | |||||
| For the Quarter Ended March 31, 2023 | 8.63 | % | 10.45 | % | 7.28 | % | |||||
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The following table presents changes to Accretable Discount (net of premiums) as it pertains to our Non-Agency RMBS portfolio, excluding premiums on interest-only investments, during the previous five quarters.
| For the Quarters Ended | |||||||||||||||||
| (dollars in thousands) | |||||||||||||||||
| Accretable Discount (Net of Premiums) | March 31, 2024 | December 31, 2023 | September 30, 2023 | June 30, 2023 | March 31, 2023 | ||||||||||||
| Balance, beginning of period | $ | 139,737 | $ | 147,252 | $ | 145,322 | $ | 157,253 | $ | 176,635 | |||||||
| Accretion of discount | (8,179) | (12,840) | (9,022) | (10,620) | (11,663) | ||||||||||||
| Purchases | 1,848 | — | (9) | — | — | ||||||||||||
| Sales | — | — | — | — | — | ||||||||||||
| Elimination in consolidation | — | — | — | — | — | ||||||||||||
| Transfers from/(to) credit reserve, net | (2,782) | 5,325 | 10,961 | (1,311) | (7,719) | ||||||||||||
| Balance, end of period | $ | 130,624 | $ | 139,737 | $ | 147,252 | $ | 145,322 | $ | 157,253 | |||||||
Disclaimer
This press release includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Reports on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; effect of a pandemic or other national or international crisis on real estate market, financial markets and our Company, including the impact on the value, availability, financing and liquidity of mortgage assets; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage-backed securities, or RMBS, or other asset-backed securities, or ABS; rates of default, delinquencies or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; our ability to consummate proposed transactions; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs; impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; availability of qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures.
Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these and other risk factors is contained in Chimera’s most recent filings
11
with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above.
Readers are advised that the financial information in this press release is based on Company data available at the time of this presentation and, in certain circumstances, may not have been audited by the Company’s independent auditors.
12
INVESTOR PRESENTATION Q1 2024
DISCLAIMER 2 This presentation includes “forward-looking statements” within the meaning of the safe harbor provisions of the United States Private Securities Litigation Reform Act of 1995. Actual results may differ from expectations, estimates and projections and, consequently, readers should not rely on these forward-looking statements as predictions of future events. Words such as “goal” “expect,” “target,” “assume,” “estimate,” “project,” “budget,” “forecast,” “anticipate,” “intend,” “plan,” “may,” “will,” “could,” “should,” “believe,” “predicts,” “potential,” “continue,” and similar expressions are intended to identify such forward-looking statements. These forward-looking statements involve significant risks and uncertainties that could cause actual results to differ materially from expected results, including, among other things, those described in our most recent Annual Report on Form 10-K, and any subsequent Quarterly Reports on Form 10-Q and Current Report on Form 8-K, under the caption “Risk Factors.” Factors that could cause actual results to differ include, but are not limited to: our business and investment strategy; our ability to accurately forecast the payment of future dividends on our common and preferred stock, and the amount of such dividends; our ability to determine accurately the fair market value of our assets; availability of investment opportunities in real estate-related and other securities, including our valuation of potential opportunities that may arise as a result of current and future market dislocations; our expected investments; changes in the value of our investments, including negative changes resulting in margin calls related to the financing of our assets; changes in inflation, interest rates and mortgage prepayment rates; prepayments of the mortgage and other loans underlying our mortgage- backed securities, or MBS, or other asset-backed securities, or ABS; rates of default, delinquencies, forbearance, deferred payments, or decreased recovery rates on our investments; general volatility of the securities markets in which we invest; our ability to maintain existing financing arrangements and our ability to obtain future financing arrangements; our ability to effect our strategy to securitize residential mortgage loans; interest rate mismatches between our investments and our borrowings used to finance such purchases; effects of interest rate caps on our adjustable-rate investments; the degree to which our hedging strategies may or may not protect us from interest rate volatility; the impact of and changes to various government programs; the impact of and changes in governmental regulations, tax law and rates, accounting guidance, and similar matters; market trends in our industry, interest rates, the debt securities markets or the general economy; estimates relating to our ability to make distributions to our stockholders in the future; our understanding of our competition; qualified personnel; our ability to maintain our classification as a real estate investment trust, or, REIT, for U.S. federal income tax purposes; our ability to maintain our exemption from registration under the Investment Company Act of 1940, as amended, or 1940 Act; our expectations regarding materiality or significance; and the effectiveness of our disclosure controls and procedures. Readers are cautioned not to place undue reliance upon any forward-looking statements, which speak only as of the date made. Chimera does not undertake or accept any obligation to release publicly any updates or revisions to any forward-looking statement to reflect any change in its expectations or any change in events, conditions or circumstances on which any such statement is based. Additional information concerning these, and other risk factors is contained in Chimera’s most recent filings with the Securities and Exchange Commission (SEC). All subsequent written and oral forward-looking statements concerning Chimera or matters attributable to Chimera or any person acting on its behalf are expressly qualified in their entirety by the cautionary statements above. This presentation may include industry and market data obtained through research, surveys, and studies conducted by third parties and industry publications. We have not independently verified any such market and industry data from third-party sources. This presentation is provided for discussion purposes only and may not be relied upon as legal or investment advice, nor is it intended to be inclusive of all the risks and uncertainties that should be considered. This presentation does not constitute an offer to purchase or sell any securities, nor shall it be construed to be indicative of the terms of an offer that the parties or their respective affiliates would accept. We use our website (www.chimerareit.com) as a channel of distribution of company information. The information we post on our website may be deemed material. Accordingly, investors should monitor our website, in addition to following our press releases, SEC filings and public conference calls and webcasts. In addition, you may automatically receive email alerts and other information about Chimera when you enroll your email address by visiting our website, then clicking on “News and Events" and selecting "Email Alerts" to complete the email notification form. Our website and any alerts are not incorporated into this document. All information in this presentation is as of March 31, 2024, unless stated otherwise. Readers are advised that the financial information in this presentation is based on company data available at the time of this presentation and, in certain circumstances, may not have been audited by the company’s independent auditors.
CHIMERA IS A CREDIT-FOCUSED HYBRID MORTGAGE REIT 3 We are a Real Estate Investment Trust (REIT) founded in 2007 We have been internally managed since August 2015 Our hybrid approach allows us to maintain flexibility in portfolio allocation and liability management Our equity capital is approximately $2.6 billion, including approximately $1.7 billion common stock and $930 million preferred stock We have declared dividends of $6.2 billion to common and preferred stockholders since inception Our portfolio contains residential mortgage loans and mortgage-backed securities Our residential mortgage loan portfolio is comprised of Reperforming Loans (RPLs), Non-QM & Investor Loans, Business Purpose Loans (BPLs), and Prime Jumbo Loans and it represents a significant part of our business and growth strategy We use leverage to enhance our returns and to finance the acquisition of mortgage assets through several funding sources including repurchase agreements (repo), warehouse lines, and most importantly, asset securitization Our total leverage ratio is 3.7:1 and recourse leverage ratio is 0.9:1 Information is unaudited, estimated and subject to change. We strive to provide attractive risk-adjusted returns and long-term value, using securitization, asset selection and leverage, for our shareholders.
Q1 2024 OVERVIEW 4Information is unaudited, estimated and subject to change (1) $1 billion of interest rate swaps will be maturing in May 2024. Book value of $7.11 per share in Q1 2024 compared to $6.75 per share in Q4 2023 Economic return of 7.0% Remained active with our portfolio during the quarter Invested approximately $34 million in high-yielding subordinated tranches of new issue mortgage securitizations backed by reperforming mortgage loans and small balance commercial properties Settled on $78 million of Business Purpose Loans during the quarter , which were previously committed to in Q4 2023 Sold approximately $35 million of Agency CMBS positions as a continuation of our portfolio optimization strategy As a result of the sales, $32 million of recourse financing was paid off Reduced our total recourse financing exposure by approximately $47 million Paid off $10 million of a longer-term higher cost financing facility Decreased recourse leverage from 1.0x in Q4 2023 to 0.9x in Q1 2024 Interest rate hedges provides flexibility for the management of our NIM $2.0 billion of interest rate swaps, at a weighted average pay-fixed rate of 3.36%, protect approximately 118% of floating rate liabilities (1) $1.0 billion of interest rate swaptions, at a weighted average pay-fixed rate of 3.61% Includes $500 million of interest rate swaptions added in January 2024, at a pay-fixed rate of 3.45% Series B and D Preferred Stock converted to floating rate as of March 30, 2024 The Series B will reflect a rate of 11.35%, equal to three-month CME Term SOFR (plus a spread adjustment of 0.26%) plus a spread of 5.79% The Series D will reflect a rate of 10.94%, equal to three-month CME Term SOFR (plus a spread adjustment of 0.26%) plus a spread of 5.38%
8%, Non Agency RMBS, $1,060 88%, Loans, $11,075 20%, Equity, $2,646 19%, Repo (Recourse Financing), $2,385 59%, Securitized Debt (Non-Recourse Financing), $7,410 Assets Liabilities & Equity Other Assets Cash Agency RMBS Agency CMBS Non Agency RMBS Loans Equity Other Liabilities Q1 2024 TOTAL GAAP PORTFOLIO 5 Our capital is mainly allocated to residential mortgage loans financed with non-recourse and repo financing. Information is unaudited, estimated and subject to change. (1) At fair value. (2) Includes $930 million of Preferred Equity. % Fixed-Rate & % Non-MtM and Limited MtM Financing Expected Repo Maturities as of Q1 2024 ($ in Millions) Total Assets $12,547 Q1 2024 GAAP Balance Sheet ($ in Millions) (1) Total Liabilities $9,901 We use leverage to enhance our returns and to finance the acquisition of mortgage assets We use several funding sources to finance our investments including repurchase agreements (repo), warehouse lines, and, most importantly, asset securitization Our Securitized Debt provides long-term stable financing and structural leverage to enhance returns and mitigate risk 80% Fixed Rate (including Securitized Debt) 90% Non-MtM and Limited MtM (including Securitized Debt) Our Funding Strategy $6 35 $2 57 $7 3 $2 92 $2 45 $5 43 $3 40 $0 $250 $500 $750 $1,000 0-3 Months 3-6 Months 6-12 Months 12 Months+ MtM Limited MtM Non MtM
RECOURSE FINANCING & INTEREST RATE HEDGING Information is unaudited, estimated and subject to change. (1) Excludes $245 million of capped floating rate financing. (2) $1 billion of interest rate swaps will be maturing in May 2024. 6 $973 $300 $450 $246 $463 $1,000 $1,500 Recourse Financing Hedges Floating MtM Floating Limited MtM Floating Non MtM Capped Floating Limited MtM Fixed Non MtM Swaps Swaptions Total $2,500Total $2,432 Interest Rate Swaptions Interest Rate Swaps Total Floating Rate(1) $1,723 71% Total Non-MtM & Limited MtM $1,459 60% MtM 40% Q4 2023 Overview Q4 2023 Recourse Financing & Interest Rate Hedges ($ in Millions) $2.4 billion in repo liabilities $973 million of MtM financing 1.0x recourse leverage 60% of repos are Non-MtM and Limited MtM $1 billion of interest rate swaps hedge 58% of the floating rate liabilities (1) Weighted average pay-fixed rate of 3.26% $1.5 billion of 1x1 interest rate swaptions Weighted average pay-fixed rate of 3.56% Q1 2024 Overview Q1 2024 Recourse Financing & Interest Rate Hedges ($ in Millions) $2.4 billion in repo liabilities $965 million of MtM financing 0.9x recourse leverage 60% of repos are Non-MtM and Limited MtM $2 billion of interest rate swaps hedge 118% of the floating rate liabilities (1) (2) Weighted average pay-fixed rate of 3.36% $1 billion of 1x1 interest rate swaptions Weighted average pay-fixed rate of 3.61% $965 $292 $432 $245 $450 $2,000 $1,000 Recourse Financing Hedges Floating MtM Floating Limited MtM Floating Non MtM Capped Floating Limited MtM Fixed Non MtM Swaps Swaptions Total $3,000Total $2,385 Interest Rate Swaptions Interest Rate Swaps Total Floating Rate(1) $1,689 71% Total Non-MtM & Limited MtM $1,439 60% MtM 40%
$9.3 80% $2.3 20% UPB Originated Prior to 2008 UPB Originated After 2008 Chimera’s loan portfolio is very seasoned with 80% of loans originated prior to 2008. Acquires residential mortgage loans from banks, non-bank financial institutions and government sponsored agencies Finances purchases of mortgage loans via warehouse facilities and repurchase agreements (recourse financing) Securitizes mortgage loans by selling senior securities and retains subordinate and interest-only securities (long-term non-recourse financing) Finances retained securities via repurchase agreements (recourse financing) to enhance return on investment Chimera’s Residential Mortgage Loan Process Overview RESIDENTIAL MORTGAGE LOANS OVERVIEW Chimera’s loan portfolio has benefitted from historic levels of home equity due to HPA. 7 Source: Bloomberg & IntexCalc. Information is unaudited, estimated and subject to change. (1) Includes $604 million of Residential Mortgage Loans held in financing trusts & $636 million of Non-QM and Prime Jumbo securitizations. (2) HPI LTV data as of January 2024. Chimera’s loan portfolio has a weighted average coupon of 5.99%. Delinquencies on Chimera’s loan portfolio are below Pre-Pandemic levels. 173 184 180 184 186 2020 2021 2022 2023 2024 62 52 49 45 44 2020 2021 2022 2023 2024 20 00 20 04 20 08 20 12 20 16 20 20 20 24 12.9 11.9 10.7 9.5 9.6 2020 2021 2022 2023 2024 6.30 6.10 5.85 5.96 5.99 2020 2021 2022 2023 2024 60+ Day Delinquency (%) Weighted Average Coupon (%) Weighted Average Loan Age (Months) Loan Origination Year ($ in Billions) S&P CoreLogic Case Shiller National HPI (2) HPI Updated LTV % $11.6 Billion Total Balance WALA of 186 months Q1 2024 Key Loan Statistics Total Current Unpaid Principal Balance (UPB) $11.6 Billion (1) Total Number of Loans 109,996 Weighted Average Loan Size $106K Weighted Average Coupon 5.99% WA FICO 665 Weighted Average Loan Age (WALA) 186 Months Weighted Average Original Loan-to-Value (LTV) 79% Amortized Loan-to-Value (LTV) 65% HPI Updated Loan-to-Value (LTV) (2) 44% 60+ Days Delinquent 9.6%
Chimera has RMBS & Loan issuance with an unpaid principal balance of approximately $14 billion currently outstanding Re-securitization is an additional source for future capital re-deployment Type SECURITIZATION ACTIVITY 8 0 2,000 4,000 6,000 8,000 10,000 Senior Bond Orig. Balance Subordinated Bond Orig. Balance Chimera’s Securitization History ($ in Millions) Chimera has completed 104 deals and securitized $52 billion of residential mortgage assets which includes Legacy Non-Agency RMBS, Seasoned Reperforming Loans, Agency Eligible Investor Loans, Non-QM DSCR , and Prime Jumbo loans, since inception. Securitization History ($ in Thousands) Balances At Issuance Information is unaudited, estimated and subject to change. Vintage Type Number of Deals Issued Total Orig. Balance Senior Bond Orig. Balance Subordinate Bond Orig. Balance Number of Deals Outstanding 2008 Loan 2 770,865 670,949 99,916 2 2009 RMBS 3 3,535,035 1,965,001 1,570,034 2 2010 RMBS 14 5,638,378 2,156,169 3,482,209 6 2011 RMBS 2 359,154 177,139 182,015 2 2012 Loan 3 1,496,917 1,378,409 118,508 - 2014 Loan & RMBS 2 816,126 522,220 293,906 - 2015 Loan 4 2,048,483 1,385,162 663,321 - 2016 Loan 6 5,861,574 4,148,904 1,712,670 1 2017 Loan 9 7,364,441 5,217,632 2,146,809 - 2018 Loan 9 3,021,614 2,209,835 811,779 3 2019 Loan 12 5,007,276 3,850,091 1,157,185 11 2020 Loan 11 4,163,703 3,254,207 909,496 9 2021 Loan 14 8,202,315 6,521,955 1,680,360 14 2022 Loan 5 1,570,674 1,156,067 414,607 5 2023 Loan 8 2,553,300 1,991,406 561,894 8 Total 104 52,409,855 36,605,146 15,804,709 63
Q1 2024 RPL SECURITIZATIONS CREDIT PERFORMANCE 9Source: Bloomberg & IntexCalc. Information is unaudited, estimated and subject to change. (1) Latest HPI data as of January 2024. 5 10 15 20 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 M ar -2 4 4 8 12 16 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 M ar -2 4 0.0 0.2 0.4 0.6 0.8 1.0 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 M ar -2 4 0 10 20 30 40 50 M ar -2 1 Ju n- 21 Se p- 21 D ec -2 1 M ar -2 2 Ju n- 22 Se p- 22 D ec -2 2 M ar -2 3 Ju n- 23 Se p- 23 D ec -2 3 M ar -2 4 60+ Day Delinquency (%) 3 Month Prepayment Rate (CPR %) 3 Month Default Rate (CDR %) 3 Month Loss Severity (%) Reperforming Loans are a cornerstone of our portfolio. Residential Credit fundamentals and performance have been stable, given home price appreciation and the fully seasoned nature of our loans. Q1 2024 RPL Securitized Loan Characteristics Total Original Unpaid Principal Balance (UPB) $16.1 Billion (1) Total Current Unpaid Principal Balance (UPB) $10.4 Billion Total Number of Loans 107,052 Weighted Average Loan Size $97K Weighted Average Coupon 5.99% WA FICO 654 Average Loan Age 206 Months Amortized Loan-to-Value (LTV) 64% HPI Updated Loan-to-Value (LTV) (1) 41% 60+ Days Delinquent 9.9%
SUMMARY 10 Information is unaudited, estimated and subject to change. (1) Latest HPI data as of January 2024. (2) Excludes $245 million Capped Floating Rate Limited MtM facility. (3) $1 billion of interest rate swaps will be maturing in May 2024. Portfolio Investments 16 securitizations are currently callable, 4 more will be callable later in 2024, and 5 securitizations are callable in 2025 Cash take-out from our existing securitizations may serve as a source of capital Chimera evaluates the cost of financing, cash take-out, liquidity needs and availability of accretive assets in its decision to call and re-lever existing deals Capital Invested approximately $34 million in high-yielding subordinated tranches of new issue mortgage securitizations backed by reperforming mortgage loans and small balance commercial properties Settled $78 million of residential transition loans during the quarter , which were previously committed to in Q4 2023 Sold approximately $35 million of Agency CMBS positions resulting in $32 million of recourse financing being paid off Credit Performance We believe credit performance on our existing loan portfolio remains strong The weighted average HPI LTV of our loan portfolio is 44% (1) 186 months of seasoning Financing & Liquidity Reduced total recourse financing exposure by approximately $47 million Decreased recourse leverage from 1.0x as of Q4 2023 to 0.9x as of Q1 2024 $169 million in cash and $418 million in unencumbered assets Interest Rate Hedging Current hedges are positioned to deal with an uncertain rate environment $2.0 billion of 1-year interest rate swaps protect 118%(2)(3) of our floating rate repos $1.0 billion of 1x1 interest rate swaptions gives us flexibility in case the Fed holds rates higher through 2025
APPENDIX
12 FINANCIAL METRICS Information is unaudited, estimated and subject to change. (1) Earnings available for distribution per adjusted diluted common share is a non- GAAP measure. See additional discussion in the Appendix section of this presentation. $0.17 $0.08 ($0.07) $0.05 $0.45 Q1'23 Q2'23 Q3'23 Q4'23 Q1'24 $0.13 $0.12 $0.13 $0.13 $0.12 Q1'23 Q2'23 Q3'23 Q4'23 Q1'24 $7.41 $7.29 $6.90 $6.75 $7.11 Q1'23 Q2'23 Q3'23 Q4'23 Q1'24 Q1 2024 Economic Return of 7.0% 1.2x 1.0x 1.0x 1.0x 0.9x Q1'23 Q2'23 Q3'23 Q4'23 Q1'24 $232 $201 $139 $222 $169 Q1'23 Q2'23 Q3'23 Q4'23 Q1'24 $427 $470 $467 $377 $418 Q1'23 Q2'23 Q3'23 Q4'23 Q1'24 GAAP Earnings Per Share Earnings Available For Distribution (EAD) Per Share(1) GAAP Book Value Per Share Recourse Leverage Cash ($ in Millions) Unencumbered Assets Market Value ($ in Millions)
EARNINGS AVAILABLE FOR DISTRIBUTION Earnings available for distribution is a non-GAAP measure and is defined as GAAP net income excluding unrealized gains or losses on financial instruments carried at fair value with changes in fair value recorded in earnings, realized gains or losses on the sales of investments, gains or losses on the extinguishment of debt, changes in the provision for credit losses, other gains or losses on equity investments, and transaction expenses incurred. Transaction expenses are primarily comprised of costs only incurred at the time of execution of our securitizations and certain structured secured financing agreements and include costs such as underwriting fees, legal fees, diligence fees, bank fees and other similar transaction related expenses. These costs are all incurred prior to or at the execution of the transaction and do not recur. Recurring expenses, such as servicing fees, custodial fees, trustee fees and other similar ongoing fees are not excluded from earnings available for distribution. We believe that excluding these costs is useful to investors as it is generally consistent with our peer groups treatment of these costs in their non-GAAP measures presentation, mitigates period to period comparability issues tied to the timing of securitization and structured finance transactions, and is consistent with the accounting for the deferral of debt issue costs prior to the fair value election option made by us. In addition, we believe it is important for investors to review this metric which is consistent with how management internally evaluates the performance of the Company. Stock compensation expense charges incurred on awards to retirement eligible employees is reflected as an expense over a vesting period (generally 36 months) rather than reported as an immediate expense. Earnings available for distribution is the Economic net interest income, as defined previously, reduced by compensation and benefits expenses (adjusted for awards to retirement eligible employees), general and administrative expenses, servicing and asset manager fees, income tax benefits or expenses incurred during the period, as well as the preferred dividend charges. We view Earnings available for distribution as one measure of our investment portfolio's ability to generate income for distribution to common stockholders. Earnings available for distribution is one of the metrics, but not the exclusive metric, that our Board of Directors uses to determine the amount, if any, of dividends on our common stock. Other metrics that our Board of Directors may consider when determining the amount, if any, of dividends on our common stock include (among others) REIT taxable income, dividend yield, book value, cash generated from the portfolio, reinvestment opportunities and other cash needs. In addition, Earnings available for distribution is different than REIT taxable income and the determination of whether we have met the requirement to distribute at least 90% of our annual REIT taxable income (subject to certain adjustments) to our stockholders in order to maintain qualification as a REIT is not based on Earnings available for distribution. Therefore, Earnings available for distribution should not be considered as an indication of our REIT taxable income, a guaranty of our ability to pay dividends, or as a proxy for the amount of dividends we may pay. We believe Earnings available for distribution as described above helps us and investors evaluate our financial performance period over period without the impact of certain transactions. Therefore, Earnings available for distribution should not be viewed in isolation and is not a substitute for net income or net income per basic share computed in accordance with GAAP. In addition, our methodology for calculating Earnings available for distribution may differ from the methodologies employed by other REITs to calculate the same or similar supplemental performance measures, and accordingly, our Earnings available for distribution may not be comparable to the Earnings available for distribution reported by other REITs. 13 Information is unaudited, estimated and subject to change.
EARNINGS AVAILABLE FOR DISTRIBUTION (CONTINUED) 14 The following table provides GAAP measures of net income and net income per diluted share available to common stockholders for the periods presented and details with respect to reconciling the line items to Earnings available for distribution and related per average diluted common share amounts. Earnings available for distribution is presented on an adjusted dilutive shares basis. Information is unaudited, estimated and subject to change. For the Quarters Ended March 31, 2024 December 31, 2023 September 30, 2023 June 30, 2023 March 31, 2023 (dollars in thousands, except per share data) GAAP Net income (loss) available to common stockholders $ 111,016 $ 12,104 $ (16,268) $ 17,586 $ 38,928 Adjustments: Net unrealized (gains) losses on financial instruments at fair value (76,765) (6,815) 43,988 (6,954) (64,592) Net realized (gains) losses on sales of investments 3,750 3,752 460 21,758 5,264 (Gains) losses on extinguishment of debt — 2,473 — (4,039) (2,309) Increase (decrease) in provision for credit losses 1,347 2,330 3,217 2,762 3,062 Net unrealized (gains) losses on derivatives (5,189) 15,871 (17) (17,994) 8,551 Realized (gains) losses on derivatives — — — 6,822 34,134 Transaction expenses 67 425 90 8,456 6,409 Stock Compensation expense for retirement eligible awards 1,024 (391) (392) (388) 2,141 Other investment (gains) losses (4,686) 986 (2,381) 421 (117) Earnings available for distribution $ 30,564 $ 30,735 $ 28,697 $ 28,430 $ 31,471 GAAP net income (loss) per diluted common share $ 0.45 $ 0.05 $ (0.07) $ 0.08 $ 0.17 Earnings available for distribution per adjusted diluted common share $ 0.12 $ 0.13 $ 0.13 $ 0.12 $ 0.13
NET ASSET BREAKDOWN 15 Information is unaudited, estimated and subject to change. (1) The above table excludes approximately $152 million of Loans held for investment for December 31, 2023, which were purchased prior to the reporting date, but not settled as of the reporting date. Net Asset Breakout Q1 2024 Q4 2023 Direct Holdings Securitization Trusts Financing Trusts Total Direct Holdings Securitization Trusts Financing Trusts Total Investments: Non-Agency RMBS, at fair value 815,376,991 244,485,608 - 1,059,862,600 794,812,473 248,993,153 - 1,043,805,625 Agency MBS, at fair value 65,999,086 - - 65,999,086 102,483,833 - - 102,483,833 Residential Mortgage Loans(1) RPL - 9,888,274,493 - 9,888,274,493 - 10,236,184,390 - 10,236,184,390 Investor - 616,561,118 - 616,561,118 - 631,123,393 - 631,123,393 RTL - - 164,754,502 164,754,502 - - 121,648,949 121,648,949 Jumbo Prime - - 404,928,654 404,928,654 - - 408,089,359 408,089,359 Total Investment Assets 881,376,078 10,749,321,219 569,683,156 12,200,380,452 897,296,306 11,116,300,935 529,738,308 12,543,335,549 Securitized debt, collateralized by: Non-Agency RMBS - 73,161,678 - 73,161,678 - 75,012,162 - 75,012,162 Residential Mortgage Loans - - RPL - 6,869,295,399 - 6,869,295,399 - 7,112,419,749 - 7,112,419,749 Investor - 467,049,240 - 467,049,240 - 489,461,380 - 489,461,380 Secured financing agreements, secured by: Non-Agency RMBS 547,967,500 120,614,000 - 668,581,500 560,925,500 127,287,000 - 688,212,500 Agency RMBS 36,433,998 - - 36,433,998 68,502,000 - - 68,502,000 Residential Mortgage Loans RPL - 1,207,869,820 - 1,207,869,820 - 1,226,515,542 - 1,226,515,542 RTL - - 132,212,258 132,212,258 - - 98,646,402 98,646,402 Jumbo Prime - - 339,580,706 339,580,706 - - 350,238,243 350,238,243 Total Investment Liabilities 584,401,498 8,737,990,137 471,792,964 9,794,184,600 629,427,500 9,030,695,832 448,884,645 10,109,007,978 Net Assets 296,974,579 2,011,331,081 97,890,192 2,406,195,852 267,868,805 2,085,605,103 80,853,663 2,434,327,571
NET INTEREST SPREAD 16 The table below shows our average earning assets held, interest earned on assets, yield on average interest earning assets, average debt balance, economic interest expense, economic average cost of funds, economic net interest income, and net interest rate spread for the periods presented. Information is unaudited, estimated and subject to change. For the Quarter Ended March 31, 2024 December 31, 2023 March 31, 2023 (dollars in thousands) (dollars in thousands) (dollars in thousands) Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost Average Balance Interest Average Yield/Cost Assets: Interest-earning assets (1): Agency RMBS $ 19,363 $ 325 6.7 % $ 19,136 $ 303 6.3 % $ 18,692 $ 322 6.9 % Agency CMBS 60,345 715 4.7 % 105,270 1,138 4.3 % 307,846 2,957 3.8 % Non-Agency RMBS 961,903 28,935 12.0 % 950,366 29,611 12.5 % 990,721 30,098 12.2 % Loans held for investment 11,643,716 154,018 5.3 % 11,882,662 158,501 5.3 % 12,334,025 152,838 5.0 % Total $ 12,685,327 $ 183,993 5.8 % $ 12,957,434 $ 189,553 5.9 % $ 13,651,284 $ 186,215 5.5 % Liabilities and stockholders' it Interest-bearing liabilities (2): Secured financing agreements collateralized by: Agency RMBS $ — $ — — % $ — $ — — % $ 4,095 $ 52 5.1 % Agency CMBS 44,632 661 5.9 % 75,847 1,071 5.6 % 252,102 2,956 4.7 % Non-Agency RMBS 681,101 11,736 6.9 % 710,550 13,561 7.6 % 762,989 16,063 8.4 % Loans held for investment 1,696,221 28,106 6.6 % 1,761,188 30,298 6.9 % 2,189,967 34,839 6.4 % Securitized debt 8,207,251 75,489 3.7 % 8,422,017 76,327 3.6 % 8,049,843 62,886 3.1 % Total $ 10,629,205 $ 115,992 4.4 % $ 10,969,602 $ 121,257 4.4 % $ 11,258,996 $ 116,796 4.1 % Economic net interest income/net interest rate spread $ 68,001 1.4 % $ 68,296 1.5 % $ 69,419 1.4 % Net interest-earning assets/net interest margin $ 2,056,122 2.1 % $ 1,987,832 2.1 % $ 2,392,288 2.0 % Ratio of interest-earning assets to interest bearing liabilities 1.19 1.18 1.21 (1) Interest-earning assets at amortized cost (2) Interest includes periodic net interest cost on swaps
THE SECURITIZATION PROCESS CIM buys $100MM Non-Agency mortgage bond or loans from dealer. CIM deposits the bond or loans into a trust. The trust issues bonds backed by the cashflow of the underlying bond or loans. The Senior A note receives all principal from the collateral and interest on its $75MM bond until the bond is paid off. The Subordinate B note receives interest on its $25MM bond, absorbs losses and starts to receive principal only after the Senior A note is paid in full. 3x Non-Recourse Leverage. $100MM Non-Agency Mortgage Bond or Loans $100MM Trust (Non-Agency RMBS Collateral) $75MM Senior A Note Sold to 3rd Party $25MM Subordinate B Note Retained by CIM Deposit 17 Recourse Financing $15MM Repo Financing Of Subordinate B Note $10MM Equity Of Subordinate B Note 60% of the Subordinate B note is financed through a repurchase agreement. The remaining 40% of the Subordinate B note is equity. 1.5x Recourse Leverage. (1) The hypothetical diagram below shows the typical structure of our securitization transactions. Chimera has created term-funding through securitization (1)
CONSOLIDATED LOAN SECURITIZATIONS 18 Information is unaudited, estimated and subject to change. VINTAGE DEAL TOTAL SOLD RETAINED TOTAL SOLD RETAINED Outstanding Bonds Sold Underlying Collateral FIRST CALL DATE 2023 CIM 2023-I2 238,530 202,750 35,780 218,544 182,764 35,780 6.71% 7.18% Jul-26 2023 CIM 2023-R4 393,997 343,368 50,629 363,398 312,756 50,629 5.03% 5.75% Apr-28 2023 CIM 2023-NR2 66,661 48,328 18,333 57,822 40,649 17,173 6.00% 5.20% Apr-24 2023 CIM 2023-R3 450,834 394,479 56,355 413,891 357,473 56,355 4.50% 5.59% Apr-25 2023 CIM 2023-I1 236,161 205,578 30,583 214,076 183,493 30,583 6.36% 7.43% Apr-26 2023 CIM 2023-R2 447,384 364,841 82,543 401,938 319,383 82,543 5.50% 6.28% Mar-28 2023 CIM 2023-NR1 134,016 97,161 36,855 107,823 71,186 36,637 6.00% 6.09% Currently Callable 2023 CIM 2023-R1 585,718 512,503 73,215 518,191 445,094 73,062 5.40% 6.32% Jan-25 2022 CIM 2022-NR1 144,912 105,061 39,851 125,555 87,217 38,339 3.68% 4.88% Currently Callable 2022 CIM 2022-R3 369,891 327,168 42,723 316,032 273,300 42,721 4.55% 5.42% Sep-27 2022 CIM 2022-I1 219,442 122,997 96,445 195,459 99,014 96,445 4.35% 4.70% Jun-24 2022 CIM 2022-R2 508,202 440,865 67,337 427,842 360,750 67,092 3.81% 4.75% May-27 2022 CIM 2022-R1 328,226 294,090 34,136 262,925 228,651 34,115 3.05% 4.57% Feb-27 2021 CIM 2021-NR4 167,596 125,747 41,849 116,934 73,241 43,694 2.82% 5.72% Currently Callable 2021 CIM 2021-R6 353,797 336,284 17,513 220,241 202,728 17,513 1.63% 5.71% Sep-26 2021 CIM 2021-R5 450,396 382,836 67,560 344,376 277,263 67,113 2.00% 5.67% Aug-24 2021 CIM 2021-R4 545,684 463,831 81,853 353,260 271,438 81,818 2.00% 6.74% Jun-24 2021 CIM 2021-R3 859,735 730,775 128,960 511,845 382,714 128,960 1.95% 6.78% Apr-25 2021 CIM 2021-NR3 117,373 82,161 35,212 65,186 26,708 38,478 2.57% 6.85% Currently Callable 2021 CIM 2021-R2 1,497,213 1,272,631 224,582 815,659 589,957 224,582 2.07% 7.04% Mar-25 2021 CIM 2021-NR2 240,425 180,318 60,107 140,865 70,038 70,827 2.57% 7.13% Currently Callable 2021 CIM 2021-R1 2,098,584 1,783,797 314,787 1,179,694 862,918 314,787 1.94% 7.36% Feb-25 2021 CIM 2021-NR1 232,682 162,877 69,805 123,554 43,677 79,877 5.57% 7.64% Currently Callable 2020 CIM 2020-R7 653,192 562,023 91,169 380,600 290,189 90,411 2.44% 6.28% Currently Callable 2020 CIM 2020-R6 418,390 334,151 84,239 267,976 184,078 83,850 2.25% 5.40% Currently Callable 2020 CIM 2020-R5 338,416 257,027 81,389 170,957 89,583 81,374 2.41% 5.46% Clean-up Call 2020 CIM 2020-R3 438,228 328,670 109,558 260,084 151,664 108,420 4.00% 5.54% Currently Callable 2020 CIM 2020-R2 492,347 416,761 75,586 296,633 222,998 73,636 2.67% 4.31% Clean-up Call 2020 CIM 2020-R1 390,761 317,608 73,153 253,450 180,673 72,757 2.90% 5.89% Currently Callable 2019 SLST 2019-1 1,217,441 941,719 275,722 774,904 542,388 224,188 3.50% 4.47% Currently Callable 2019 CIM 2019-R5 315,039 252,224 62,815 162,628 100,020 61,981 2.97% 5.74% Clean-up Call 2019 CIM 2019-R4 320,802 256,641 64,161 172,458 110,009 62,450 3.00% 6.31% Currently Callable 2019 CIM 2019-R3 342,633 291,237 51,396 157,732 107,426 50,306 2.63% 6.78% Currently Callable 2019 CIM 2019-R2 464,327 358,172 106,155 288,041 183,706 104,328 3.49% 5.45% Clean-up Call 2019 CIM 2019-R1 371,762 297,409 74,353 217,643 145,120 72,523 3.25% 5.03% Currently Callable 2018 CIM 2018-R3 181,073 146,669 34,404 60,130 28,008 31,942 4.48% 7.32% Currently Callable 2016 CIM 2016-FRE1 185,811 115,165 70,646 70,162 13,051 57,111 4.26% 4.82% Currently Callable 2008 PHHMC 2008-CIM1 619,710 549,142 70,568 7,430 5,555 1,852 6.86% 5.07% Do Not Hold Call Rights TOTAL $17,437,391 $14,405,064 $3,032,327 $11,035,938 $8,116,880 $2,906,252 3.38% 6.01% ORIGINAL FACE ($ Thousands) REMAINING FACE ($ Thousands) WEIGHTED AVERAGE COUPON (WAC)
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